Job Application - Quantitative Analyst

Interview Sample Question

The sample question for Interview a job in Binary.com. Here I try to write a web application which is automatically gather data, calculate, forecast, place orders, settlement and also P&L report from tip-to-toe. Here I also conducting few research tasks to test the efficiency of some statistical models, and also refer to a Master Degree level quantitave assignment as my studies. Hope that I can be shortlisted to be a member of Binary.com.

Question I

I use daily OHLCV USDJPY data (from 2014-01-01 to 2017-01-20) and application of some models to forecast the highest and lowest price :

  • Auto Arima models
  • Exponential Time Series
  • Univariate Garch models
  • Exponential Weighted Moving Average
  • Monte Carlo Markov Chain
  • Bayesian Time Series
  • Midas

For the staking model, I simply forecast the highest and lowest price, and then :

  • Kelly criterion and using highest or lowest price for closing transaction, otherwise using closing price if the forecasted lowest/highest price is not occur.
  • Placed $100 an each of the forecasted variance value and do the settlement based on the real variance value.

Kindly refer to Binary.com Interview Q1 (Alternate link)

Besides, I wrote a shinyApp which display the real-time price through API. Kindly refer to Q1App where Q1App2 is another app for financial value betting.

Blooper…

Initially, I wrote a shiny app (as showing in below gif file) but it is heavily budden for loading. Kindly browse over Q1 ShinyApp.

Secondly, I wrote another app testRealTimeTransc trial version to test the real time trading, and a completed version is Q1App2.

Here I wrote another extention page for Q1 which is analyse the multiple currencies and also models from minutes to daily. You are feel free to browse over Binary.com Interview Q1E.

Question II

For question 2, I simply write an app, kindly use Q2App.

Question III

For question 3, due to the question doesn’t states we only bet on the matches which overcame a certain edge, therefore I just simply list the scenario. Kindly refer to Betting strategy for more informtion.

Reference